A limit theorem for certain disordered random systems

1994 ◽  
Vol 26 (04) ◽  
pp. 1022-1043 ◽  
Author(s):  
Xinhong Ding
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Limit Theorem ◽  
Random Systems ◽  
Joint Probability ◽  
Dynamical Behaviour ◽  
One Dimensional ◽  
Linear Stochastic Differential Equation ◽  
The One ◽  
Image Position

Many disordered random systems in applications can be described by N randomly coupled Ito stochastic differential equations in : where is a sequence of independent copies of the one-dimensional Brownian motion W and ( is a sequence of independent copies of the ℝ p -valued random vector ξ. We show that under suitable conditions on the functions b, σ, K and Φ the dynamical behaviour of this system in the N → (limit can be described by the non-linear stochastic differential equation where P(t, dx dy) is the joint probability law of ξ and X(t).

A limit theorem for certain disordered random systems

1994 ◽  
Vol 26 (4) ◽  
pp. 1022-1043 ◽  
Author(s):  
Xinhong Ding
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Limit Theorem ◽  
Random Systems ◽  
Joint Probability ◽  
Dynamical Behaviour ◽  
One Dimensional ◽  
Linear Stochastic Differential Equation ◽  
The One ◽  
Image Position

Many disordered random systems in applications can be described by N randomly coupled Ito stochastic differential equations in : where is a sequence of independent copies of the one-dimensional Brownian motion W and ( is a sequence of independent copies of the ℝp-valued random vector ξ. We show that under suitable conditions on the functions b, σ, K and Φ the dynamical behaviour of this system in the N → (limit can be described by the non-linear stochastic differential equation where P(t, dx dy) is the joint probability law of ξ and X(t).

On a gradient-like integro-differential equation

1982 ◽  
Vol 92 (1-2) ◽  
pp. 77-85 ◽  
Author(s):  
Jack K. Hale ◽  
Krzysztof P. Rybakowski
Keyword(s):  
Differential Equation ◽  
Invariant Set ◽  
Saddle Connection ◽  
Natural Order ◽  
One Dimensional ◽  
Integro Differential Equation ◽  
Simple Zeros ◽  
Unstable Manifolds ◽  
The One ◽  
Image Position

SynopsisUnder appropriate conditions on b and a function g with 2k +1 simple zeros, the equationhas a maximal compact invariant set Ab,g in C([−1,0]R), consisting of the zeros of g and the one-dimensional unstable manifolds of these zeros. For k =2, it is shown that there may be a saddle connection in the flow on Ab,g for some g. This implies that the zeros of g as elements of the flow on Ab,g cannot be given the natural order of the reals.

scholarly journals DIFFERENTIAL EQUATION APPROACH FOR ONE- AND TWO-DIMENSIONAL LATTICE GREEN'S FUNCTION

2007 ◽  
Vol 21 (02n03) ◽  
pp. 139-154 ◽  
Author(s):  
J. H. ASAD
Keyword(s):  
Differential Equation ◽  
Green’S Function ◽  
Recurrence Relation ◽  
Green's Function ◽  
Two Dimensional ◽  
Dimensional Lattice ◽  
One Dimensional ◽  
The One ◽  
Lattice Green's Function ◽  
Lattice Green’S Function

A first-order differential equation of Green's function, at the origin G(0), for the one-dimensional lattice is derived by simple recurrence relation. Green's function at site (m) is then calculated in terms of G(0). A simple recurrence relation connecting the lattice Green's function at the site (m, n) and the first derivative of the lattice Green's function at the site (m ± 1, n) is presented for the two-dimensional lattice, a differential equation of second order in G(0, 0) is obtained. By making use of the latter recurrence relation, lattice Green's function at an arbitrary site is obtained in closed form. Finally, the phase shift and scattering cross-section are evaluated analytically and numerically for one- and two-impurities.

Total progeny in a multitype critical age dependent branching process with immigration

1974 ◽  
Vol 11 (3) ◽  
pp. 458-470 ◽  
Author(s):  
Howard J. Weiner
Keyword(s):  
Limit Theorem ◽  
Branching Process ◽  
Cell Types ◽  
Dimensional Case ◽  
One Dimensional ◽  
Age Dependent ◽  
Total Progeny ◽  
Critical Age ◽  
The One ◽  
Branching Process With Immigration

In a multitype critical age dependent branching process with immigration, the numbers of cell types born by t, divided by t2, tends in law to a one-dimensional (degenerate) law whose Laplace transform is explicitily given. The method of proof makes a correspondence between the moments in the m-dimensional case and the one-dimensional case, for which the corresponding limit theorem is known. Other applications are given, a possible relaxation of moment assumptions, and extensions are indicated.

scholarly journals Simplified Grinding Temperature Model Study

2019 ◽  
Vol 6 (2) ◽  
pp. a1-a7
Author(s):  
N. V. Lishchenko ◽  
V. P. Larshin ◽  
H. Krachunov
Keyword(s):  
Differential Equation ◽  
Heat Conduction ◽  
Heat Source ◽  
Boundary Conditions ◽  
Grinding Temperature ◽  
Temperature Model ◽  
One Dimensional ◽  
Heating And Cooling ◽  
Equation Of Heat Conduction ◽  
The One

A study of a simplified mathematical model for determining the grinding temperature is performed. According to the obtained results, the equations of this model differ slightly from the corresponding more exact solution of the one-dimensional differential equation of heat conduction under the boundary conditions of the second kind. The model under study is represented by a system of two equations that describe the grinding temperature at the heating and cooling stages without the use of forced cooling. The scope of the studied model corresponds to the modern technological operations of grinding on CNC machines for conditions where the numerical value of the Peclet number is more than 4. This, in turn, corresponds to the Jaeger criterion for the so-called fast-moving heat source, for which the operation parameter of the workpiece velocity may be equivalently (in temperature) replaced by the action time of the heat source. This makes it possible to use a simpler solution of the one-dimensional differential equation of heat conduction at the boundary conditions of the second kind (one-dimensional analytical model) instead of a similar solution of the two-dimensional one with a slight deviation of the grinding temperature calculation result. It is established that the proposed simplified mathematical expression for determining the grinding temperature differs from the more accurate one-dimensional analytical solution by no more than 11 % and 15 % at the stages of heating and cooling, respectively. Comparison of the data on the grinding temperature change according to the conventional and developed equations has shown that these equations are close and have two points of coincidence: on the surface and at the depth of approximately threefold decrease in temperature. It is also established that the nature of the ratio between the scales of change of the Peclet number 0.09 and 9 and the grinding temperature depth 1 and 10 is of 100 to 10. Additionally, another unusual mechanism is revealed for both compared equations: a higher temperature at the surface is accompanied by a lower temperature at the depth. Keywords: grinding temperature, heating stage, cooling stage, dimensionless temperature, temperature model.

Optimal stopping and maximal inequalities for geometric Brownian motion

1998 ◽  
Vol 35 (04) ◽  
pp. 856-872 ◽  
Author(s):  
S. E. Graversen ◽  
G. Peskir
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Optimal Stopping ◽  
Moving Boundary ◽  
Stopping Time ◽  
Practical Interest ◽  
Maximal Inequality ◽  
Geometric Brownian Motion ◽  
Stopping Times ◽  
Image Position

Explicit formulas are found for the payoff and the optimal stopping strategy of the optimal stopping problem supτ E (max0≤t≤τ X t − c τ), where X = (X t ) t≥0 is geometric Brownian motion with drift μ and volatility σ > 0, and the supremum is taken over all stopping times for X. The payoff is shown to be finite, if and only if μ < 0. The optimal stopping time is given by τ* = inf {t > 0 | X t = g * (max0≤t≤s X s )} where s ↦ g *(s) is the maximal solution of the (nonlinear) differential equation under the condition 0 < g(s) < s, where Δ = 1 − 2μ / σ2 and K = Δ σ2 / 2c. The estimate is established g *(s) ∼ ((Δ − 1) / K Δ)1 / Δ s 1−1/Δ as s → ∞. Applying these results we prove the following maximal inequality: where τ may be any stopping time for X. This extends the well-known identity E (sup t>0 X t ) = 1 − (σ 2 / 2 μ) and is shown to be sharp. The method of proof relies upon a smooth pasting guess (for the Stephan problem with moving boundary) and the Itô–Tanaka formula (being applied two-dimensionally). The key point and main novelty in our approach is the maximality principle for the moving boundary (the optimal stopping boundary is the maximal solution of the differential equation obtained by a smooth pasting guess). We think that this principle is by itself of theoretical and practical interest.

scholarly journals Fourier multipliers on spaces of distributions

1986 ◽  
Vol 29 (3) ◽  
pp. 309-327 ◽  
Author(s):  
W. Lamb
Keyword(s):  
Banach Spaces ◽  
Growth Conditions ◽  
Fourier Multipliers ◽  
Bounded Operators ◽  
Vertical Strip ◽  
One Dimensional ◽  
The One ◽  
Image Position ◽  
Complex Valued

In [8], Rooney defines a class of complex-valued functions ζ each of which is analytic in a vertical strip α(ζ)< Res < β(ζ) in the complex s-plane and satisfies certain growth conditions as |Im s| →∞ along fixed lines Re s = c lying within this strip. These conditions mean that the functionsfulfil the requirements of the one-dimensional Mihlin-Hörmander theorem (see [6, p. 417]) and so can be regarded as Fourier multipliers for the Banach spaces . Consequently, each function gives rise to a family of bounded operators W[ζ,σ] σ ∈(α(ζ),β(ζ)), on , 1<p<∞.

Smooth first-passage densities for one-dimensional diffusions

1987 ◽  
Vol 24 (02) ◽  
pp. 370-377 ◽  
Author(s):  
E. J. Pauwels
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Stochastic Differential Equation ◽  
Time Scale ◽  
First Passage ◽  
One Dimensional ◽  
Drift Coefficient

The purpose of this paper is to show that smoothness conditions on the diffusion and drift coefficient of a one-dimensional stochastic differential equation imply the existence and smoothness of a first-passage density. In order to be able to prove this, we shall show that Brownian motion conditioned to first hit a point at a specified time has the same distribution as a Bessel (3)-process with changed time scale.

Optimal stopping and maximal inequalities for geometric Brownian motion

1998 ◽  
Vol 35 (4) ◽  
pp. 856-872 ◽  
Author(s):  
S. E. Graversen ◽  
G. Peskir
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Optimal Stopping ◽  
Moving Boundary ◽  
Stopping Time ◽  
Practical Interest ◽  
Maximal Inequality ◽  
Geometric Brownian Motion ◽  
Stopping Times ◽  
Image Position

Explicit formulas are found for the payoff and the optimal stopping strategy of the optimal stopping problem supτE (max0≤t≤τXt − c τ), where X = (Xt)t≥0 is geometric Brownian motion with drift μ and volatility σ > 0, and the supremum is taken over all stopping times for X. The payoff is shown to be finite, if and only if μ < 0. The optimal stopping time is given by τ* = inf {t > 0 | Xt = g* (max0≤t≤sXs)} where s ↦ g*(s) is the maximal solution of the (nonlinear) differential equation under the condition 0 < g(s) < s, where Δ = 1 − 2μ / σ2 and K = Δ σ2 / 2c. The estimate is established g*(s) ∼ ((Δ − 1) / K Δ)1 / Δs1−1/Δ as s → ∞. Applying these results we prove the following maximal inequality: where τ may be any stopping time for X. This extends the well-known identity E (supt>0Xt) = 1 − (σ 2 / 2 μ) and is shown to be sharp. The method of proof relies upon a smooth pasting guess (for the Stephan problem with moving boundary) and the Itô–Tanaka formula (being applied two-dimensionally). The key point and main novelty in our approach is the maximality principle for the moving boundary (the optimal stopping boundary is the maximal solution of the differential equation obtained by a smooth pasting guess). We think that this principle is by itself of theoretical and practical interest.

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